Strong innovation and its applications to information diffusion modelling in finance.
Toronjadze, T. (2002)
Georgian Mathematical Journal
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Toronjadze, T. (2002)
Georgian Mathematical Journal
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Fleischmann, Klaus, Mörters, Peter, Wachtel, Vitali (2006)
Electronic Journal of Probability [electronic only]
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Toronjadze, T. (2001)
Georgian Mathematical Journal
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Agnieszka Jurlewicz, Aleksander Weron, Karina Weron (1996)
Applicationes Mathematicae
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A new class of CED systems, providing insight into behaviour of physical disordered materials, is introduced. It includes systems in which the conditionally exponential decay property can be attached to each entity. A limit theorem for the normalized minimum of a CED system is proved. Employing different stable schemes the universal characteristics of the behaviour of such systems are derived.
Bavouzet-Morel, Marie-Pierre, Messaoud, Marouen (2006)
Electronic Journal of Probability [electronic only]
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Holroyd, Alexander E. (2006)
Electronic Journal of Probability [electronic only]
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Skorokhod, A. (2001)
Georgian Mathematical Journal
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Kharibegashvili, S. (1998)
Georgian Mathematical Journal
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Geng, Fazhan, Cui, Minggen (2010)
Bulletin of the Malaysian Mathematical Sciences Society. Second Series
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Csilla Krommerová, Igor Melicherčík (2014)
Kybernetika
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We investigate the problem of power utility maximization considering risk management and strategy constraints. The aim of this paper is to obtain admissible dynamic portfolio strategies. In case the floor is guaranteed with probability one, we provide two admissible solutions, the option based portfolio insurance in the constrained model, and the alternative method and show that none of the solutions dominate the other. In case the floor is guaranteed partially, we provide one admissible...
Ramanan, Kavita (2006)
Electronic Journal of Probability [electronic only]
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